haku: @author Roll, R. / yhteensä: 28
viite: 7 / 28
Tekijä:Chordia, T.
Roll, R.
Subrahmanyam, A.
Otsikko:Market liquidity and trading activity
Lehti:Journal of Finance
2001 : APR, VOL. 56:2, p. 501-530
Asiasana:Equities
Financial market trading
Liquidity
USA
Kieli:eng
Tiivistelmä:The authors study aggregate market spreads, depths, and trading activity for U.S. equities over an extended time sample. Daily changes in market averages of liquidity and trading activity are hihgly volatile and negatively serially dependent. Liquidity plummets significantly in down markets. Recent market volatility induces a decrease in trading activity and spreads. There are strong day-of-the-week effects.
SCIMA tietueen numero: 220461
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